I've only published short stories, but I can second what Zen (as always) and s are saying. Make sure you're work is as good as it can get and even then, be ready for a ton of rejections before you finally find the right receiver whether that will be an agent or editor.
For short stories there's really only one way to go since collections don't really sell much unless you're Neil Gaiman famous. Write a ton of stories, make them as good as possible, and sent them out to appropriate magazines. Start with the top-tier markets, those paying the most, providing high visibility (usually those two are the same), and publish the kind of stories you like, then go down the list if/when you get rejections for each story.
And whether you're publishing novels or short stories, going traditional or self-pub, make sure to get honest feedback on your stories before sending out into the world. It's notoriously difficult to judge your own writing (damn you Dunning-Kruger effect) and impossible to find every mistake.
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